<p>
  In this tutorial, we implement an intraday momentum strategy that trades some of the most actively traded ETFs. 
  Specifically, we observe the return generated from the first half-hour of the trading day to predict the sign of 
  the trading day's last half-hour return. Researchers have shown that this momentum pattern is statistically and 
  economically significant, even after accounting for trading fees. The algorithm we design here is a recreation of 
  the research completed by Gao, Han, Li, and Zhou (2017).
</p>
